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st: Structural breaks in panel data

From   Tanja Berg <[email protected]>
To   [email protected]
Subject   st: Structural breaks in panel data
Date   Wed, 4 Jul 2012 14:38:55 +0200

Dear Statalisters,

I have an unbalanced panel data set with structural breaks.
In my regression I want to show if and how the dependent variable (depvar) changes during several periods.

I implemented four different Dummy variables (P2-P5) for five different periods.

So my regression looks like the following:
xtreg depvar x1  x2  P2  P3  P4  P5  x1*P2  x1*P3  x1*P4  x1*P5  x2*P2  x2*P3  x2*P4  x2*P5, fe

x1 and x2 are my explanatory variables. 
If the coefficient of the interaction variable (e.g. x1*P2) is significant I have an effect here in this period. So far I understand what is going on.

But what do the coefficients of the Dummy variables itself tell me? What if they are insignificant?

If I only want to look at one explanatory variable, do I have to include the Dummy variables here as well or is it sufficient to look only at the interaction variables like following:
xtreg depvar x1  x1*P2  x1*P3  x1*P4  x1*P5, fe

Hope someone can help me with this little understanding problem!

Best regards
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